CMFAS RES5 Collective Investment Schemes Code question: OTC counterparty exposure limits

A fund holds large index-futures positions traded on an exchange, centrally cleared by a clearing house acting as central counterparty and subject to daily mark-to-market and at least daily margining. The manager asks whether the 10%/5% OTC counterparty exposure limits apply to these positions.

• A No — centrally cleared, daily-margined exchange trades fall outside those limits, but global-exposure and spread rules still apply
• B Yes — every derivative position, whether OTC or exchange-traded, is subject to the 10%/5% counterparty limits
• C Yes — but for exchange-traded derivatives only the lower 5% limit applies, whatever the clearing house's rating or margining
• D No — because futures create no counterparty exposure of any kind, so no Code limits apply to them at all